This question was asked to a panel of lawyers at bitcoin2013. They said Malta is their best guess about the best jurisdiction to start an exchange. Followed, I believe, by Iceland. They also mentioned places seeking to be financial hubs, such as Hong Kong, Dubai, etc.

Well, there is an exchange in Slovenia and it is doing quite well. Personally I find Amsterdam and The Netherlands a very good starting point for Bitcoins related business. Malta is a beautiful island, but....I don't know....Cyprus docet